Market Anomalies Revisited

Abstract

The existence of market return anomalies have long been recognized in the finance literature. Several studies have documented the effects of size, dividend yields, E/P ratios, book-to-market value ratios, weekend, and turn of the year (January effect) on market returns. Still, much controversy surrounds the existence of, and explanations for the observed market anomalies. This study uses 1987-92 returns data to help provide more current evidence concerning market anomalies. A multivariate regression model (MVRM) is used to test for the presence of size effect, weekend effect, and January effect in this period. Evidence indicates the existence of a January effect for small firms, but other effects are not detected an any significant levels.